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American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) >
2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/36975
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| Title: | Trade and Integration of the US and China’s Cotton Markets |
| Authors: | Ge, Yuanlong
Wang, Holly
Ahn, Sung |
| Authors (Email): | Ge, Yuanlong (ge0@purdue.edu)
Wang, Holly (wanghong@purdue.edu)
Ahn, Sung (ahn@wsu.edu) |
| Keywords: | cotton futures prices
cointegration
granger causality test
AR-GARCH |
| Issue Date: | 2007 |
| Series/Report no.: | Poster Paper |
| Abstract: | The cotton market in China is highly interactive with international markets, especially, the US market. The prices in these two markets can reveal important market relations. Investigating the data of futures prices from the New York Board of Trade (NYBOT) and the Zhengzhou Commodity Exchange (CZCE) using several time series methods, we find a long-run cointegration relationship between these I(1) series. Furthermore, a bi-directional Granger Causality between these two futures markets is detected with Generalized Autoregressive Conditional Heteroskedasticity (GARCH) error specifications. We also find the relationship is impacted by the Chinese exchange rate policy change in the 2005. |
| URI: | http://purl.umn.edu/36975 |
| Institution/Association: | AAEA 2007, Portland, OR, July 29-August 1
American Agricultural Economics Association>2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon |
| Total Pages: | 27 |
| Collections: | 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon
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| 174364.pdf | Selected Poster | 338Kb | PDF | View/Open |
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